Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0400
Annualized Std Dev 0.1948
Annualized Sharpe (Rf=0%) 0.2055

Row

Daily Return Statistics

Close
Observations 5207.0000
NAs 1.0000
Minimum -0.1087
Quartile 1 -0.0054
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0064
Maximum 0.1211
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0123
Skewness -0.0351
Kurtosis 11.9160

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0086
Loss Deviation 0.0096
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.5636
Historical VaR (95%) -0.0177
Historical ES (95%) -0.0294
Modified VaR (95%) -0.0171
Modified ES (95%) -0.0185
From Trough To Depth Length To Trough Recovery
2000-12-29 2002-10-09 2006-12-01 -0.5636 1488 443 1045
2007-12-11 2009-03-09 2014-04-16 -0.4964 1598 312 1286
2020-02-19 2020-03-23 NA -0.3618 275 24 NA
2015-01-30 2015-09-04 2016-04-01 -0.1769 295 152 143
2017-11-15 2018-02-08 2018-12-06 -0.1567 266 58 208

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA -2.9 -0.1 0.5 0.5 1.5 -0.4 -0.8 -1.7
2001 -1.2 0.6 2.2 -0.3 -0.8 -0.4 0.7 0.2 -0.4 -0.1 -0.8 0.1 -0.3
2002 0.7 1.4 -0.7 0.1 -0.4 -2.1 -2 -0.2 2.7 0.3 -0.8 0.1 -1
2003 0.1 -0.7 0.8 -0.7 1.4 -0.4 -1.4 -0.5 0.7 -0.1 0.8 0.1 0.1
2004 -0.2 1 0.4 -0.1 -0.5 -0.9 0.3 0.2 0.8 0.6 -0.6 -0.5 0.6
2005 0.9 0.5 0.4 1.2 1 1 -1 1.3 -0.1 -1.8 0.9 -0.2 4.2
2006 0.1 -0.1 -0.5 -0.7 1.2 0.4 1 0 -0.8 0.5 0.4 -0.3 1.1
2007 0.8 0.4 -0.6 1 -0.4 0.2 2.6 0.5 1.5 -1.9 0.4 -1 3.3
2008 1.6 -2.8 2.2 1 0 0.6 -2.5 -1.5 0.9 -1.1 -6.7 1.9 -6.5
2009 -2.4 -1.6 -0.2 2 3.3 1.6 -0.9 -0.8 -1.8 -2 1.6 -1.4 -2.7
2010 0.8 1.2 1.1 0.2 -2.2 -0.3 -0.5 2.3 0.7 -0.9 1.2 -0.1 3.4
2011 1.1 -0.7 0.7 0.3 -1 1.2 0.3 -0.4 -1 -2.2 0 -0.7 -2.4
2012 0.4 0.2 0.3 0.5 -0.5 0.5 -0.8 -0.2 -0.4 -0.8 0.8 1.3 1.4
2013 0.4 0.2 -0.2 -1.1 -0.6 -1.3 0.9 -0.3 0.4 0.6 -0.1 0.2 -0.8
2014 0.7 0.7 -0.6 0.4 0.8 -0.9 0.4 0.7 0.4 0 0 -1.9 0.6
2015 -2.5 0 0.1 0.5 0.2 0.5 0.9 -2.7 -1.1 0.5 0.7 -1 -3.9
2016 1 -0.4 0.5 0.6 0.3 -0.1 -0.1 -0.4 -0.7 -1.9 -0.8 -0.6 -2.5
2017 -1.8 -0.8 0.3 -0.5 0.7 -0.2 0.5 -0.2 -0.3 -0.7 -0.4 0 -3.2
2018 -1.6 0.1 0.5 -0.3 -1.5 0.1 -0.8 -0.4 -0.4 -0.3 1.4 0.3 -2.8
2019 -0.3 0.3 -0.6 -1 0.5 -0.2 0.9 0.1 -0.3 -0.2 -0.2 0.5 -0.6
2020 -0.4 -3.9 -6 -2.4 1.1 2.2 0.1 -1.1 0.8 -0.9 0.6 1.5 -8.4
2021 0.6 2.1 0.2 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart